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Next to "view style," choose the "proxy access" category. Click the pencil icon next to it, and change the "block" and "log" options to enable. This may not be 100%, but you should be able to see in the list that this is designed to block most third party VPN services.

Next to "view style," choose the "proxy access" category. Click the pencil icon next to it, and change the "block" and "log" options to enable. This may not be 100%, but you should be able to see in the list that this is designed to block most third party VPN services.